Quantitative Trading: How to Build Your Own Algorithmic Trading Business

• 发表：2024-06-20
• 分类：英文原版
• 围观：26

• 望远观微

  2023-07-07
  相对于很多量化入门书，给这本五颗星。英文简单易懂，穿插着作者曾经在投行和hedge fund的经历。虽然具体策略部分有点蜻蜓点水，但作为入门介绍书做到这样也可以了。比如SVM，具体可以再参考其他资料。个人认为这本书最大的一个优点是，不断鼓励个人破除对量化交易的畏惧，建立信心，由简单入门，循序渐进。
• 开大火翻炒均匀

  2022-04-02
  useful for independent trader

• 未及

  2015-11-02
  in general, the more rules the strategyhas, and the more parameters the model has, the more likely it is go-ing to suffer data-snooping bias. Simple models are often the onesthat will stand the test of time. This is not to say that no methods based on AI will work in prediction. Theones that work for me are usually characterized by these properties:1: They are based on a sound econometric or rational basis, and not on ran-dom discovery of patterns.2: They have few parameters that need to be fitted to past data.3: They involve linear regression only, and not fitting to some esoteric non-linear functions.4: They are conceptually simple.5: All optimizations must occur in a lookback moving window, involving no fu-ture unseen data. And the effect of this optimization must be co...
• 未及

  2015-11-02
  A historical database of stock prices that does not include stocks that have disappeared due to bankruptcies, delistings, mergers, or acquisitions suffer from the so-called survivorship bias, because only “survivors” of those often unpleasant events remain in the database. (The same term can be applied to mutual fund or hedge fund databases that do not include funds that went out of business.) Backtesting a strategy using data with survivorship bias can be dangerous because it may inflate the historical performance of the strategy. This is especially true if the strategy has a “value” bent; that is,it tends to buy stocks that are cheap. Some stocks were cheap because the companies were going bankrupt shortly.
• 未及

  2015-11-01
  By its very nature, quantitative trading is a highly automated business. Sometimes, the more you manually interfere with the system and override its decision, the worse it will perform.

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